Multivariate-Based Causality Tests of
Twin Deficits in the US
By Abdulnasser Hatemi-J and Ghazi Shukur
This paper provides an alternative methodology for testing the causality direction between Twin deficits in the US. Rao's multivariate F-test combined with bootstraps simulation technique has appealing properties, especially when the data generating process is characterised by unit roots. In addition the results show that the effect of structural breaks are of paramount importance when the causality tests are conducted.
Bootstrap Simulation; Multivariate tests; Twin deficits; Granger causality; Structural breaks
READING THE ARTICLE: You can read the article in
portable document (.pdf) format (260353 bytes.)
NOTE: The content of this article is the intellectual property of the authors, who retains all rights to future publication.
This page has been accessed 2455 times since July 24, 2006.
Return to the Home Page.